Citibank 2014 Annual Report Download - page 272

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The following tables summarize the key characteristics of Citi’s credit derivatives portfolio by counterparty and derivative form as of December 31, 2014 and
December 31, 2013:
Fair values Notionals
In millions of dollars at December 31, 2014 Receivable (1) Payable (2)
Protection
purchased
Protection
sold
By industry/counterparty
Banks $24,828 $23,189 $ 574,764 $ 604,700
Broker-dealers 8,093 9,309 204,542 199,693
Non-financial 91 113 3,697 1,595
Insurance and other financial institutions 10,784 11,374 333,384 257,870
Total by industry/counterparty $43,796 $43,985 $1,116,387 $1,063,858
By instrument
Credit default swaps and options $42,930 $42,201 $1,094,199 $1,054,671
Total return swaps and other 866 1,784 22,188 9,187
Total by instrument $43,796 $43,985 $1,116,387 $1,063,858
By rating
Investment grade $17,432 $17,182 $ 824,831 $ 786,848
Non-investment grade 26,364 26,803 291,556 277,010
Total by rating $43,796 $43,985 $1,116,387 $1,063,858
By maturity
Within 1 year $ 4,356 $ 4,278 $ 250,489 $ 229,502
From 1 to 5 years 34,692 35,160 790,251 772,001
After 5 years 4,748 4,547 75,647 62,355
Total by maturity $43,796 $43,985 $1,116,387 $1,063,858
(1) The fair value amount receivable is composed of $18,708 million under protection purchased and $25,088 million under protection sold.
(2) The fair value amount payable is composed of $26,527 million under protection purchased and $17,458 million under protection sold.
Fair values Notionals
In millions of dollars at December 31, 2013 Receivable (1) Payable (2)
Protection
purchased
Protection
sold
By industry/counterparty
Banks $24,992 $23,455 $ 739,646 $ 727,748
Broker-dealers 8,840 9,820 254,250 224,073
Non-financial 138 162 4,930 2,820
Insurance and other financial institutions 6,447 7,922 216,236 188,722
Total by industry/counterparty $40,417 $41,359 $1,215,062 $1,143,363
By instrument
Credit default swaps and options $40,233 $39,930 $1,201,716 $1,141,864
Total return swaps and other 184 1,429 13,346 1,499
Total by instrument $40,417 $41,359 $1,215,062 $1,143,363
By rating
Investment grade $17,150 $17,174 $ 812,918 $ 752,640
Non-investment grade 23,267 24,185 402,144 390,723
Total by rating $40,417 $41,359 $1,215,062 $1,143,363
By maturity
Within 1 year $ 2,901 $ 3,262 $ 254,305 $ 221,562
From 1 to 5 years 31,674 32,349 883,879 853,391
After 5 years 5,842 5,748 76,878 68,410
Total by maturity $40,417 $41,359 $1,215,062 $1,143,363
(1) The fair value amount receivable is composed of $13,744 million under protection purchased and $26,673 million under protection sold.
(2) The fair value amount payable is composed of $28,723 million under protection purchased and $12,636 million under protection sold.